fan-zhenjun's repositories
frequencyConnectedness
Spectral decomposition of spillover measures
applied-methods-phd
Repo for Yale Applied Empirical Methods PHD Course
AppliedEconometrics
安徽大学-许立文-Stata、计量经济学、DSGE
bayesVAR_TVP
R/C++ implementation of Bayes VAR models
ebci_matlab
Matlab code for robust empirical Bayes confidence intervals
MSBVAR
Patrick Brandt:Markov-Switching, Bayesian, Vector Autoregression Models
Global-Oil-Market
This code show the SVAR results from the paper: "Lutz Kilian, 2009. "Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market," American Economic Review, vol. 99(3), pages 1053-1069, June. Specifically: Cholesky Decomposition, Structural Impulse Response, Historical Evolution of the Structural Shock, Historical Decompositio of the Structural Shocks and the Forecast Error Variance Decomposition
het_agents_bayes
Estimation of heterogeneous agent models using both macro and micro data
lp_var_simul
Simulation study of Local Projections, VARs, and related estimators
midasr
R package for mixed frequency time series data analysis.
ProjCode4YangLiu18Aug
sample estimation procedures for different cases of DCC-MIDAS model; written in MatLab
QARDL
This is a sample code for estimating Quantile Autoregressive Distributed Lag Model.
quantile_coherency_replication
R code to replicate the figures in arXiv:1510.06946.
quantspec
Quantile-based Spectral Analysis of Time Series
RCoVaRCopula
R Code CoVaR with Copula
rdocumentation-2.0
📚 RDocumentation provides an easy way to search the documentation for every version of every R package on CRAN and Bioconductor.
spider-BaiduIndex
百度指数、百度搜索、百度登录、天眼查等数据SDK
svma_iv
Inference in SVMA models identified by external instruments/proxies
SystemicRisk
A framework for systemic risk valuation and analysis.
tspdlib
GAUSS time series and panel unit root tests compiled by Saban Nazlioglu
VAR-Toolbox
Ambrogio Cesa-Bianchi's VAR Toolbox
xtplfc_Stata
Stata module for estimating partially linear functional-coefficient panel data models